PENGEMBALIAN SAHAM, RISIKO PASAR, DAN SENTIMEN

Abstract

The relationship between stock returns, risk, and investor sentiments still a debate in the field
of finance and accounting. Most of researchers find different results for relationship between
stock returns, risk, and investor sentiments. This study conducts logistic regression to analyze
the relationship of market risk and investor sentiments on stock returns of 146 Indonesian
public firms as dividend payers along period of 2010 to 2016. This study finds that along
period of 2010 to 2016 most of stock returns are affected by investor sentiments. This study
also finds that market risk does not affect the stock returns since this study reveals that
market risk between higher and lower stock returns have not differences.